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Market intraday momentum: APAC evidence

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  • Limkriangkrai, Manapon
  • Chai, Daniel
  • Zheng, Gaoping

Abstract

This study examines the market intraday momentum, where the first half-hour return predicts the last half-hour return, in exchange-traded funds (ETFs) from the selected Asia-Pacific (APAC) markets including China, Hong Kong SAR, Japan, Singapore and South Korea. Intraday momentum is mainly evident in China and Japan. There is weak evidence of the momentum effect in South Korea, while Hong Kong SAR and Singapore appear to have no intraday momentum. When both volatility and trading volume are considered, it is found that volatility has a stronger influence on intraday momentum than trading volume in the APAC markets. Finally, we show that the intraday momentum effect is weaker in the COVID-19 crisis period for the APAC markets that exhibit intraday momentum. Overall, the intraday momentum effect is not as pervasive in the APAC markets when compared to the US evidence.

Suggested Citation

  • Limkriangkrai, Manapon & Chai, Daniel & Zheng, Gaoping, 2023. "Market intraday momentum: APAC evidence," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    • Handle: RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x2300152x
    DOI: 10.1016/j.pacfin.2023.102086
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    References listed on IDEAS

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    More about this item

    Keywords

    Intraday momentum; Return predictability; Asia-Pacific (APAC) markets; COVID crisis;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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